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Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance

Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance »

Source: Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance

Volume/Issue: 2012/194

Series: IMF Working Papers

Author(s): Tiago Severo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2012

ISBN: 9781475505436

Keywords: stock returns, banking, bank assets, insurance premium, bond, Econometric Modeling, General Financial Markets,

I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several asset classes between 2004 and 2010. Then I test whether the equity returns of 53 global banks we...

Structural Breaks in Fiscal Performance

Structural Breaks in Fiscal Performance »

Source: Structural Breaks in Fiscal Performance : Did Fiscal Responsibility Laws Have Anything to Do with Them?

Volume/Issue: 2010/248

Series: IMF Working Papers

Author(s): Leandro Medina , Carlos Caceres , and Ana Corbacho

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2010

ISBN: 9781455209484

Keywords: Fiscal Responsibility Laws, Fiscal Institutions, fiscal balance, fiscal balances, primary fiscal balance, Econometric Modeling: General, Studies of Particular Policy Episodes, National Budget, Deficit, and Debt: General,

In recent years, many countries have adopted Fiscal Responsibility Laws to strengthen fiscal institutions and promote fiscal discipline in a credible, predictable and transparent manner. Still, results on the effec...

Default, Credit Growth, and Asset Prices

Default, Credit Growth, and Asset Prices »

Source: Default, Credit Growth, and Asset Prices

Volume/Issue: 2006/223

Series: IMF Working Papers

Author(s): C. Goodhart , Miguel Segoviano Basurto , and Boris Hofmann

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2006

ISBN: 9781451864830

Keywords: Probability of default, macroeconomic shocks, financial surveillance, banking, bank lending, probability, Econometric Modeling: General, Prices, Business Fluctuations, and Cycles: Forecasting and Simulation

This paper uses a Merton-type estimate of the probability of default (PoD) for the main banks in a sample of Organization for Economic Cooperation and Development and middle-income countries as a proxy for the frag...

Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance

Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance »

Volume/Issue: 2012/194

Series: IMF Working Papers

Author(s): Tiago Severo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2012

DOI: http://dx.doi.org/10.5089/9781475505436.001

ISBN: 9781475505436

Keywords: stock returns, banking, bank assets, insurance premium, bond, Econometric Modeling, General Financial Markets,

I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several asset classes between 2004 and 2010. Then I test whether the equity returns of 53 global banks we...

What Drives Credit Growth in Emerging Asia?

What Drives Credit Growth in Emerging Asia? »

Source: What Drives Credit Growth in Emerging Asia?

Volume/Issue: 2012/43

Series: IMF Working Papers

Author(s): Fei Han , and Selim Elekdag

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2012

ISBN: 9781463936440

Keywords: rapid credit growth, emerging Asia, SVAR, Bayesian estimation, sign restrictions, aggregate demand, domestic monetary policy, inflation, financial stability, What Drives Credit Growth in Emerging Asia?

This paper seeks to uncover the main drivers of credit growth in emerging Asia using a multi-country structural vector autoregressive (SVAR) model. Taking a novel approach, we developed a two-block SVAR whereby sho...

Structural Breaks in Fiscal Performance
			: Did Fiscal Responsibility Laws Have Anything to Do with Them?

Structural Breaks in Fiscal Performance : Did Fiscal Responsibility Laws Have Anything to Do with Them? »

Volume/Issue: 2010/248

Series: IMF Working Papers

Author(s): Leandro Medina , Carlos Caceres , and Ana Corbacho

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2010

DOI: http://dx.doi.org/10.5089/9781455209484.001

ISBN: 9781455209484

Keywords: Fiscal Responsibility Laws, Fiscal Institutions, fiscal balance, fiscal balances, primary fiscal balance, Econometric Modeling: General, Studies of Particular Policy Episodes, National Budget, Deficit, and Debt: General,

In recent years, many countries have adopted Fiscal Responsibility Laws to strengthen fiscal institutions and promote fiscal discipline in a credible, predictable and transparent manner. Still, results on the effec...

Default, Credit Growth, and Asset Prices

Default, Credit Growth, and Asset Prices »

Volume/Issue: 2006/223

Series: IMF Working Papers

Author(s): C. Goodhart , Miguel Segoviano Basurto , and Boris Hofmann

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2006

DOI: http://dx.doi.org/10.5089/9781451864830.001

ISBN: 9781451864830

Keywords: Probability of default, macroeconomic shocks, financial surveillance, banking, bank lending, probability, Econometric Modeling: General, Prices, Business Fluctuations, and Cycles: Forecasting and Simulation

This paper uses a Merton-type estimate of the probability of default (PoD) for the main banks in a sample of Organization for Economic Cooperation and Development and middle-income countries as a proxy for the frag...

What Drives Credit Growth in Emerging Asia?

What Drives Credit Growth in Emerging Asia? »

Volume/Issue: 2012/43

Series: IMF Working Papers

Author(s): Fei Han , and Selim Elekdag

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2012

DOI: http://dx.doi.org/10.5089/9781463936440.001

ISBN: 9781463936440

Keywords: rapid credit growth, emerging Asia, SVAR, Bayesian estimation, sign restrictions, aggregate demand, domestic monetary policy, inflation, financial stability, What Drives Credit Growth in Emerging Asia?

This paper seeks to uncover the main drivers of credit growth in emerging Asia using a multi-country structural vector autoregressive (SVAR) model. Taking a novel approach, we developed a two-block SVAR whereby sho...